美国国债收益率的扁平化可能在发出信号：美联储前夜转变立场——从超级鸽派变成超出多数人预期的鹰派，可能是“经济不可承受之重”。
先降后升并不等于重置：
先降息再加息，就算幅度相同，投资者的信心也不会恢复到宽松前的水平。对1997年以来的历次降息的分析表明，在可怕程度足以让美联储作出重大反应的经济危机中——比如说让美联储在一年内把基准利率下调逾100个基点，实际利率永远不会完全回到之前的水平上。这可能反映了生产率下降、人口结构恶化或投资者对最安全资产的偏好增强，或者三者皆有。美联储鹰派点阵图发布后，实际利率周三飙升，但之后几乎没动。
期限溢价没有发挥作用
当通胀预期上升时，期限溢价往往会上升；这一溢价是投资者对持有更长而不是更短期限要求的额外报酬。然而，Adrian， Crump & Moench 10年期美国国债溢价已从3月份的高点缩水至约40个基点。这种反应再次表明投资者缺乏信心。
寻找凸性：
美联储的立场转变导致固定收益投资组合头寸调整。其通常会表现为涉及多久期的结构性变化，而且基金经理很可能正在为利率波动加剧调整头寸并建立投资组合的凸性。凸性是一种二阶导数，反映的是债券对利率变化敏感度的变化，并且在大幅、突然变化时更为明显。
建立凸性可能是经济最乐观的结果——因为它表明市场处于调整阶段，而不是发生了永久性的变化。
本文摘自彭博Markets Live市场评论，仅代表作者个人观点，不构成投资建议。
The flattening of US Treasury yields may be a signal that the Fed's shift from a super dove to a hawk beyond most expectations could be "unbearable for the economy".
Falling first and then rising does not mean resetting:
Cut interest rates first and then raise them, and even by the same magnitude, investor confidence will not return to pre-easing levels. An analysis of interest rate cuts since 1997 shows that in an economic crisis frightening enough for the Fed to respond significantly-such as letting the Fed cut its benchmark interest rate by more than 100 basis points within a year-real interest rates will never fully return to their previous levels. This may reflect declining productivity, deteriorating demographics or increased investor preference for the safest assets, or all three. Real interest rates soared on Wednesday after the release of the Fed's hawkish bitmap, but have barely moved since.
The term premium didn't work.
When inflation expectations rise, the maturity premium tends to rise; this premium is an extra reward for investors to hold longer rather than shorter periods. However, the premium on Adrian, Crump & Moench 10-year Treasuries has shrunk to about 40 basis points from its peak in March. This reaction is yet another sign of a lack of investor confidence.
Look for convexity:
The shift in the Fed's position has led to a shift in fixed-income portfolio positions. It is usually characterized by structural changes that involve a long period of time, and fund managers are likely to be adjusting their positions and building the convexity of their portfolios to increase interest rate volatility. Convexity is a second derivative, which reflects the change of the sensitivity of bonds to interest rate changes, and is more obvious in large and sudden changes.
The establishment of convexity may be the most optimistic outcome for the economy-because it shows that the market is in an adjustment phase rather than a permanent change.
This article, extracted from the Bloomberg Markets Live Market Review, represents only the author's personal views and does not constitute investment advice.
